Results 1  10
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62
Guaranteed minimumrank solutions of linear matrix equations via nuclear norm minimization
, 2007
"... The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative ..."
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Cited by 383 (19 self)
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The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative filtering. Although specific instances can often be solved with specialized algorithms, the general affine rank minimization problem is NPhard, because it contains vector cardinality minimization as a special case. In this paper, we show that if a certain restricted isometry property holds for the linear transformation defining the constraints, the minimum rank solution can be recovered by solving a convex optimization problem, namely the minimization of the nuclear norm over the given affine space. We present several random ensembles of equations where the restricted isometry property holds with overwhelming probability, provided the codimension of the subspace is sufficiently large. The techniques used in our analysis have strong parallels in the compressed sensing framework. We discuss how affine rank minimization generalizes this preexisting concept and outline a dictionary relating concepts from cardinality minimization to those of rank minimization. We also discuss several algorithmic approaches to solving the norm minimization relaxations, and illustrate our results with numerical examples.
Enhancing Sparsity by Reweighted ℓ1 Minimization
, 2007
"... It is now well understood that (1) it is possible to reconstruct sparse signals exactly from what appear to be highly incomplete sets of linear measurements and (2) that this can be done by constrained ℓ1 minimization. In this paper, we study a novel method for sparse signal recovery that in many si ..."
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Cited by 94 (4 self)
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It is now well understood that (1) it is possible to reconstruct sparse signals exactly from what appear to be highly incomplete sets of linear measurements and (2) that this can be done by constrained ℓ1 minimization. In this paper, we study a novel method for sparse signal recovery that in many situations outperforms ℓ1 minimization in the sense that substantially fewer measurements are needed for exact recovery. The algorithm consists of solving a sequence of weighted ℓ1minimization problems where the weights used for the next iteration are computed from the value of the current solution. We present a series of experiments demonstrating the remarkable performance and broad applicability of this algorithm in the areas of sparse signal recovery, statistical estimation, error correction and image processing. Interestingly, superior gains are also achieved when our method is applied to recover signals with assumed nearsparsity in overcomplete representations—not by reweighting the ℓ1 norm of the coefficient sequence as is common, but by reweighting the ℓ1 norm of the transformed object. An immediate consequence is the possibility of highly efficient data acquisition protocols by improving on a technique known as compressed sensing.
Sensor selection via convex optimization
 IEEE Transactions on Signal Processing
, 2009
"... Abstract—We consider the problem of choosing a set of sensor measurements, from a set of possible or potential sensor measurements, that minimizes the error in estimating some parameters. Solving this problem by evaluating the performance for each of the possible choices of sensor measurements is no ..."
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Cited by 65 (2 self)
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Abstract—We consider the problem of choosing a set of sensor measurements, from a set of possible or potential sensor measurements, that minimizes the error in estimating some parameters. Solving this problem by evaluating the performance for each of the possible choices of sensor measurements is not practical unless and are small. In this paper, we describe a heuristic, based on convex optimization, for approximately solving this problem. Our heuristic gives a subset selection as well as a bound on the best performance that can be achieved by any selection of sensor measurements. There is no guarantee that the gap between the performance of the chosen subset and the performance bound is always small; but numerical experiments suggest that the gap is small in many cases. Our heuristic method requires on the order of operations; for 1000 possible sensors, we can carry out sensor selection in a few seconds on a 2GHz personal computer. Index Terms—Convex optimization, experiment design, sensor selection. I.
Compressed sensing with quantized measurements
, 2010
"... We consider the problem of estimating a sparse signal from a set of quantized, Gaussian noise corrupted measurements, where each measurement corresponds to an interval of values. We give two methods for (approximately) solving this problem, each based on minimizing a differentiable convex function p ..."
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Cited by 39 (0 self)
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We consider the problem of estimating a sparse signal from a set of quantized, Gaussian noise corrupted measurements, where each measurement corresponds to an interval of values. We give two methods for (approximately) solving this problem, each based on minimizing a differentiable convex function plus an regularization term. Using a first order method developed by Hale et al, we demonstrate the performance of the methods through numerical simulation. We find that, using these methods, compressed sensing can be carried out even when the quantization is very coarse, e.g., 1 or 2 bits per measurement.
WORSTCASE VALUEATRISK AND ROBUST PORTFOLIO OPTIMIZATION: A CONIC PROGRAMMING APPROACH
, 2001
"... Classical formulations of the portfolio optimization problem, such as meanvariance or ValueatRisk (VaR) approaches, can result in a portfolio extremely sensitive to errors in the data, such as mean and covariance matrix of the returns. In this paper we propose a way to alleviate this problem in a ..."
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Cited by 37 (1 self)
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Classical formulations of the portfolio optimization problem, such as meanvariance or ValueatRisk (VaR) approaches, can result in a portfolio extremely sensitive to errors in the data, such as mean and covariance matrix of the returns. In this paper we propose a way to alleviate this problem in a tractable manner. We assume that the distribution of returns is partially known, in the sense that only bounds on the mean and covariance matrix are available. We define the worstcase ValueatRisk as the largest VaR attainable, given the partial information on the returns ’ distribution. We consider the problem of computing and optimizing the worstcase VaR, and we show that these problems can be cast as semidefinite programs. We extend our approach to various other partial information on the distribution, including uncertainty in factor models, support constraints, and relative entropy information.
Rank minimization and applications in system theory
 In American Control Conference
, 2004
"... AbstractIn this tutorial paper, we consider the problem Of minimizing the rank of a matrix over a convex set. The Rank Minimization Problem (RMP) arises in diverse areas such as control, system identification, statistics and signal processing, and is known to be computationally NPhard. We give an ..."
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Cited by 37 (0 self)
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AbstractIn this tutorial paper, we consider the problem Of minimizing the rank of a matrix over a convex set. The Rank Minimization Problem (RMP) arises in diverse areas such as control, system identification, statistics and signal processing, and is known to be computationally NPhard. We give an overview of the problem, its interpretations, applications, and solution methods. In particular, we focus on how convex optimization can he used to develop heuristic methods for this problem.
Enhacing sparsity by reweighted ℓ1 minimization
 Journal of Fourier Analysis and Applications
, 2008
"... It is now well understood that (1) it is possible to reconstruct sparse signals exactly from what appear to be highly incomplete sets of linear measurements and (2) that this can be done by constrained ℓ1 minimization. In this paper, we study a novel method for sparse signal recovery that in many si ..."
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Cited by 34 (1 self)
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It is now well understood that (1) it is possible to reconstruct sparse signals exactly from what appear to be highly incomplete sets of linear measurements and (2) that this can be done by constrained ℓ1 minimization. In this paper, we study a novel method for sparse signal recovery that in many situations outperforms ℓ1 minimization in the sense that substantially fewer measurements are needed for exact recovery. The algorithm consists of solving a sequence of weighted ℓ1minimization problems where the weights used for the next iteration are computed from the value of the current solution. We present a series of experiments demonstrating the remarkable performance and broad applicability of this algorithm in the areas of sparse signal recovery, statistical estimation, error correction and image processing. Interestingly, superior gains are also achieved when our method is applied to recover signals with assumed nearsparsity in overcomplete representations—not by reweighting the ℓ1 norm of the coefficient sequence as is common, but by reweighting the ℓ1 norm of the transformed object. An immediate consequence is the possibility of highly efficient data acquisition protocols by improving on a technique known as compressed sensing.
Robust Convex Quadratically Constrained Programs
 Mathematical Programming
, 2002
"... In this paper we study robust convex quadratically constrained programs, a subset of the class of robust convex programs introduced by BenTal and Nemirovski [4]. Unlike [4], our focus in this paper is to identify uncertainty structures that allow the corresponding robust quadratically constrained p ..."
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Cited by 30 (2 self)
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In this paper we study robust convex quadratically constrained programs, a subset of the class of robust convex programs introduced by BenTal and Nemirovski [4]. Unlike [4], our focus in this paper is to identify uncertainty structures that allow the corresponding robust quadratically constrained programs to be reformulated as secondorder cone programs. We propose three classes of uncertainty sets that satisfy this criterion and present examples where these classes of uncertainty sets are natural. 1 Problem formulation A generic quadratically constrained program (QCP) is defined as follows.
ℓ1 Trend Filtering
, 2007
"... The problem of estimating underlying trends in time series data arises in a variety of disciplines. In this paper we propose a variation on HodrickPrescott (HP) filtering, a widely used method for trend estimation. The proposed ℓ1 trend filtering method substitutes a sum of absolute values (i.e., ..."
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Cited by 29 (6 self)
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The problem of estimating underlying trends in time series data arises in a variety of disciplines. In this paper we propose a variation on HodrickPrescott (HP) filtering, a widely used method for trend estimation. The proposed ℓ1 trend filtering method substitutes a sum of absolute values (i.e., an ℓ1norm) for the sum of squares used in HP filtering to penalize variations in the estimated trend. The ℓ1 trend filtering method produces trend estimates that are piecewise linear, and therefore is well suited to analyzing time series with an underlying piecewise linear trend. The kinks, knots, or changes in slope, of the estimated trend can be interpreted as abrupt changes or events in the underlying dynamics of the time series. Using specialized interiorpoint methods, ℓ1 trend filtering can be carried out with not much more effort than HP filtering; in particular, the number of arithmetic operations required grows linearly with the number of data points. We describe the method and some of its basic properties, and give some illustrative examples. We show how the method is related to ℓ1 regularization based methods in sparse signal recovery and feature selection, and list some extensions of the basic method.
Cuts for mixed 01 conic programming
, 2005
"... In this we paper we study techniques for generating valid convex constraints for mixed 01 conic programs. We show that many of the techniques developed for generating linear cuts for mixed 01 linear programs, such as the Gomory cuts, the liftandproject cuts, and cuts from other hierarchies of ti ..."
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Cited by 28 (0 self)
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In this we paper we study techniques for generating valid convex constraints for mixed 01 conic programs. We show that many of the techniques developed for generating linear cuts for mixed 01 linear programs, such as the Gomory cuts, the liftandproject cuts, and cuts from other hierarchies of tighter relaxations, extend in a straightforward manner to mixed 01 conic programs. We also show that simple extensions of these techniques lead to methods for generating convex quadratic cuts. Gomory cuts for mixed 01 conic programs have interesting implications for comparing the semidefinite programming and the linear programming relaxations of combinatorial optimization problems, e.g. we show that all the subtour elimination inequalities for the traveling salesman problem are rank1 Gomory cuts with respect to a single semidefinite constraint. We also include results from our preliminary computational experiments with these cuts.